Numerical Methods and Optimization in Finance
Gilli, Manfred
ISBN: 9780123756626
Vydavatelství: Academic Press
Rok vydání: 2011
Vazba: Hardback
Počet stran: 600
Dostupnost: Skladem
Původní cena: 2 728 Kč
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2 046 Kč(t.j. po slevě 25%)
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This bookdescribes computational financetools. It covers fundamental numerical analysis and computational techniques, such asoption pricing, and givesspecial attention tosimulation and optimization. Many chapters are organized as case studies aroundportfolio insurance and risk estimation problems. In particular, several chapters explain optimization heuristics and how to use them for portfolio selection and in calibration of estimation and option pricing models. Such practical examples allow readers to learn the steps for solving specific problems and apply these steps to others. At the same time, the applications are relevant enough to make the book a useful reference. Matlab and R sample code is provided in the text and can be downloaded from the book's website.